Mihajlovic was part of Eriksson's Lazio team that won the 1999-2000 Serie A title, with his set-piece prowess, fierce tackling and combative attitude making Mihajlovic a standout figure in that era.
His death was announced by his family on Friday, with Mihajlovic succumbing to leukaemia at the age of 53.
As well as playing spells in Italy with Roma, Sampdoria, Lazio and Inter, Mihajlovic was a European Cup winner in 1991 with Red Star Belgrade and a long-time Yugoslavia international.
His free-kicks were among the best in the game, and he later took to coaching, with Milan, Fiorentina, Sampdoria, Torino and Bologna among the clubs he led from the touchline.
Mihajlovic and Roberto Mancini, now the Italy head coach, were both highly influential figures in Eriksson's great Lazio side.
"Mihajlovic was a very successful player," Eriksson told Italian broadcaster Sky Sport 24. "For him there was no such thing as finishing second. He was generous, an intelligent and fabulous player. He was someone who helped everyone in the team, especially the youngsters. It's all very sad.
"He was a great coach even when he was still a player. He had to become a coach, it was known. He was a very intelligent player, he understood everything in football, I didn't need to talk about tactics with him.
"I don't know how many games Lazio have won due to his free-kicks or penalties. I remember that he was a very successful man and very helpful with everyone.
"He was different from me in terms of character, but the respect that existed was the secret of that team. This made Lazio great. It was impossible not to like Sinisa, he was positive, cheerful. It was a huge pleasure to work with him."
Former Lazio striker Christian Vieri added, in an Instagram post: "It's hard to find words today. Rest in peace great warrior."
Mihajlovic was sacked by Bologna in September after a disappointing start to the season, ending his second spell as head coach with the Rossoblu.
Milan great Andrea Pirlo paid his own tribute to Mihajlovic, writing: "A great man as well as being a great footballer... You have always proved to be a loyal warrior. Goodbye Sinisa."
Another former on-field adversary, Gabriel Batistuta, wrote: "How many battles on the field. Goodbye Sinisa."
Italian FA (FIGC) president Gabriele Gravina said he was "deeply saddened".
"Sinisa was a protagonist on and off the field, an example of passion, determination and courage, able to inspire and excite," Gravina added. "Mihajlovic was a true champion as a player, as a coach, but above all as a person.
"In an era often marked by falsehood, he has always known how to put the truth before him, not underlining his defects and his weaknesses."
Napoli president Aurelio De Laurentiis added his own salute, saying on Twitter: "A great man leaves too soon. A coach that in the past I had thought of bringing to Naples. A person of great human depth. A fighter who defied the disease with the courage of a lion."
Red Star Belgrade labelled Mihajlovic "a great star and a man with an incredible heart and strength", adding: "Our club expresses its deepest condolences to the Mihajlovic family. To him be eternal glory!"
